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Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall (in English)
Lixin Wu (Author)
·
Crc Press
· Paperback
Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall (in English) - Lixin Wu
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Synopsis "Interest Rate Modeling: Theory and Practice, Second Edition (Chapman and Hall (in English)"
Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the martingale approach, and handles option evaluations with precise numerical methods.FeaturesPresents a complete cycle of model construction and applications, showing readers how to build and use modelsProvides a systematic treatment of intriguing industrial issues, such as volatility and correlation adjustmentsContains exercise sets and a number of examples, with many based on real market dataIncludes comments on cutting-edge research, such as volatility-smile, positive interest-rate models, and convexity adjustmentNew to the 2nd edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
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